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When Everyone Trades the Same Factor Playbook
For decades, academic researchers have catalogued hundreds of patterns in the stock market — statistical regularities linking firm characteristics to future returns. These persistent return patterns, unexplained by standard risk models, are known as anomalies . They now form the intellectual backbone of a multi-trillion-dollar industry called factor investing, implemented through mutual funds, hedge funds, and ETFs worldwide.
The premise is straightforward: buy stocks with characteristics associated with high returns (the right, or “long leg”) and short stocks with characteristics associated with low returns (the left, or “short leg”).
Anders Posselt and Mads Kjær, authors of the March 2026 study, “ Anomaly-Driven Demand ,” examined what happens to market prices when millions of investors…
